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Moody's enhances EMEA ABS and RMBS performance overviews.

Summary: Moody's Investors Service announced today that it has introduced additional information to its Performance Overview reports of asset-backed securities (ABS) and residential mortgage-backed securities (RMBS) in the Europe, Middle East and Africa (EMEA) region.

Moody's Investors Service announced today that it has introduced additional information to its Performance Overview reports of asset-backed securities (ABS) and residential mortgage-backed securities (RMBS) in the Europe, Middle East and Africa (EMEA) region.

"In response to investor feedback, Performance Overview will now contain

the principal deficiency ledger (PDL) of the transaction, the

International Securities Identification Number (ISIN) and the original

and current credit enhancement of each tranche calculated in a consistent

manner," says Annick Poulain, a Moody's Managing Director. This redesign

is part of an ongoing effort by Moody's to provide the market with timely

and consistent information about the performance of ABS and RMBS

transactions.

Specifically, Moody's has introduced a dedicated credit enhancement (CE)

section in its Performance Overview reports, to provide key information

needed to determine the credit support levels of each notes. The CE in

all ABS and RMBS transactions in the EMEA region is calculated using the

same formula, thus improving consistency and comparability among

transactions. The CE displayed is defined as: (i) the internal support

provided by (a) all collateralised subordinated notes and (b) any

overcollateralization, excluding excess spread; and (ii) external

support, such as the reserve fund or the cash collateral account. In

Performance Overview reports, the CE will be displayed as a percentage of

the sum of all collateralised notes in the transaction.

Moody's monitoring process begins at closing of a transaction and will

continue as long as the security is rated by us, regardless of seasoning.

Moody's Performance Overview reports are standardised for each transaction

and are designed to aid investors' monitoring efforts. The reports

include information about key transaction parties, including: (i)

current ratings; (ii) a capital structure overview; (iii) support

information, such as target and current level of reserve funds; (iv) key

performance information, such as delinquencies, repossessions or losses;

and (v) performance triggers.

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Publication:EMBIN (Emerging Markets Business Information News)
Date:Jan 24, 2011
Words:355
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